Weak σ-convergence: Theory and applications

• Main Authors: KONG, Jianning, PHILLIPS, Peter C. B., SUL, Donggyu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Weak σ-convergence; Asymptotics under misspecified trend regression; Evaporating trend; Cross section dependence; Trend regression; Relative convergence; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2284; https://ink.library.smu.edu.sg/context/soe_research/article/3283/viewcontent/Weak_Convergence_2017_pp.pdf
• Institution: Singapore Management University

The concept of relative convergence, which requires the ratio of two time series to converge to unity in the long run, explains convergent behavior when series share commonly divergent stochastic or deterministic trend components. Relative convergence of this type does not necessarily hold when seri...